The Time-Series Behavior of IPO Betas

被引：0
作者：
Neill J.D. [1 ]
Perfect S.B. [2 ]
Wiles K.W. [3 ]
机构：
[1] Argyros School of Business and Economics, Chapman University, Orange
[2] Sonat Marketing Company LP, Houston, TX 77046, Four Greenway Plaza
[3] Lloyd and Company, Renaissance Plaza, Greensboro, NC 27401
来源：
Review of Quantitative Finance and Accounting | 1999年 / 13卷 / 3期
关键词：
Delisting hypothesis; Initial public offerings; Systematic risk;
D O I：
10.1023/A:1008318514830
中图分类号：
学科分类号：
摘要：
We examine individual IPO betas and provide further evidence that the documented decline in IPO betas results primarily from a seasoning or information effect and not from the delisting of high beta securities. We employ stochastic coefficient regression analysis which permits the estimation of individual IPO betas at all points in time, and therefore avoids disadvantages associated with grouped cross-sectional beta estimates and average individual time-series beta estimates. We find that IPO firms with the lowest betas are more likely to delist, and that individual IPO betas, on average, decline over time which provides support for the information hypothesis. © 1999 Kluwer Academic Publishers,.
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页码：261 / 276
页数：15
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